```
## generate some bivariate data
set.seed(42)
x1 <- seq(1,10,0.3)
w = .6067;
a0 = 1.6345;
a1 = -.6235;
b1 = -1.3501;
a2 = -1.1622;
b2 = -.9443;
x2 = a0 + a1*cos(x1*w) + b1*sin(x1*w) + a2*cos(2*x1*w) +
b2*sin(2*x1*w) + rnorm(length(x1),0,3/4)
x <- scale(cbind(x1,x2))
alim <- extendrange(x, f=0.1)
alim_ <- range(x)
## plot centered data
plot(x[,1], x[,2], bty='n',
xlab=expression(x[1]),
ylab=expression(x[2]),
xlim=alim, ylim=alim)
legend("topleft", legend=c("Initialize"), bty="n")
## plot first principal component line
svdx <- svd(x)
clip(alim_[1],alim_[2],alim_[1],alim_[2])
with(svdx, abline(a=0, b=v[2,1]/v[1,1]))
## plot projections of each point onto line
z1 <- with(svdx, x%*%v[,1]%*%t(v[,1]))
segments(x0=x[,1],y0=x[,2],
x1=z1[,1],y1=z1[,2])
## compute initial lambda (arc-lengths associated with
## orthogonal projections of data onto curve)
lam <- with(svdx, as.numeric(u[,1]*d[1]))
for(itr in 1:3) {
#### step (a) of iterative algorithm ####
## compute scatterplot smoother in either dimension
## increase 'df' to make the curve more flexible
fit1 <- smooth.spline(x=lam, y=x[,1], df=4)
fit2 <- smooth.spline(x=lam, y=x[,2], df=4)
## plot data and the principal curve for a sequence of lambdas
plot(x[,1], x[,2], bty='n',
xlab=expression(x[1]),
ylab=expression(x[2]),
xlim=alim, ylim=alim)
legend("topleft", legend=c("Step (a)"), bty="n")
seq_lam <- seq(min(lam),max(lam),length.out=100)
lines(predict(fit1, seq_lam)$y, predict(fit2, seq_lam)$y)
## show points along curve corresponding
## to original lambdas
z1 <- cbind(predict(fit1, lam)$y, predict(fit2, lam)$y)
segments(x0=x[,1],y0=x[,2],
x1=z1[,1],y1=z1[,2])
#### step (b) of iterative algorithm ####
## recompute lambdas
euc_dist <- function(l, x, f1, f2)
sum((c(predict(f1, l)$y, predict(f2, l)$y) - x)^2)
lam <- apply(x,1,function(x0) optimize(euc_dist,
interval=extendrange(lam, f=0.50),
x=x0, f1=fit1, f2=fit2)$minimum)
## show projections associated with recomputed lambdas
plot(x[,1], x[,2], bty='n',
xlab=expression(x[1]),
ylab=expression(x[2]),
xlim=alim, ylim=alim)
legend("topleft", legend=c("Step (b)"), bty="n")
seq_lam <- seq(min(lam),max(lam),length.out=100)
lines(predict(fit1, seq_lam)$y, predict(fit2, seq_lam)$y)
z1 <- cbind(predict(fit1, lam)$y, predict(fit2, lam)$y)
segments(x0=x[,1],y0=x[,2],
x1=z1[,1],y1=z1[,2])
}
```

]]>I'm recently returned from the 2015 Rocky Mountain Bioinformatics Conference, where I presented the above poster. This is work with a colleague, Rick Gray, at the FDA. He and I collaborate on our NIH award "Optimal Design of Challenge-Response Experiments in Cardiac Electrophysiology" (HL118392) The (original) poster abstract is below, but the poster content is slightly less ambitious. Here are PNG and PDF versions: PNG (2.2M), PDF (1.1M). I will post some R code demonstrating the model shortly.

Abstract:

---

The Hodgkin-Huxley cardiac cell model is used to model the behavior of ion-channels during the cardiac action potential. On a larger scale, the model is used, for example, to model cardiac arrhythmias and to assess the effects of defibrillation protocols. Historically, the model parameters have been estimated in a piecewise fashion using summaries of raw data from voltage-clamp experiments, and by fitting the summarized data to model sub-components. This process is repeated for each of the model sub-components and corresponding summaries of voltage-clamp data until all of the model parameters are estimated. However, we demonstrate that by summarizing the raw data, some information about the model parameters is ignored. We show that the piecewise estimation procedure can be biased, and can yield estimates that are not unique. Finally show that the model parameters can be estimated simultaneously by integrating data sources across multiple types of voltage-clamp experiments, and that this technique is more efficient than the piecewise approach.

---

I was also able to catch up with a good friend (and even next-door neighbor, for a time) from graduate school, Adam Richards, who is currently working with the Department of Medicine at the University of Colorado Denver - Anschutz Medical Campus. He presented a poster as well. Here's a (blurry) picture of us at the poster session:

]]>P.S. Jeff Leek from simplystatistics.org visted our department yesterday and mentioned to me that he often blogs about things on the internet that anger him. Thus, this post was motivated by that sentiment. Thanks Jeff!

]]>I am often asked about the number of subjects needed to study a binary outcome, which usually leads to a discussion of confidence intervals for binary proportions, and the associated precision. Sometimes the precision is quantified as the width or half-width of a 95% confidence interval. For proportions, I like the Wilson score interval because it’s simple to calculate and does not violate the constraints of probability estimates (i.e., estimates must be between 0 and 1). Below is a function that computes the Wilson interval, given the number of trials (`n`

) and the fraction of events (`p`

).

```
## Level (1-a) Wilson confidence interval for proportion
## WILSON, E. B. 1927. Probable inference, the law of succession,
## and statistical inference. Journal of the American Statistical
## Association 22: 209-212.
WilsonBinCI <- function(n, p, a=0.05) {
z <- qnorm(1-a/2,lower.tail=FALSE)
l <- 1/(1+1/n*z^2)*(p + 1/2/n*z^2 +
z*sqrt(1/n*p*(1-p) + 1/4/n^2*z^2))
u <- 1/(1+1/n*z^2)*(p + 1/2/n*z^2 -
z*sqrt(1/n*p*(1-p) + 1/4/n^2*z^2))
list(lower=l, upper=u)
}
```

The code below generates a figure that illustrates the 95% confidence bounds as a function of the probability estimate, and for a sequence of trial sizes. I’m posting this here for my future easy access, but I hope some readers will find it useful as well, or might suggest improvements.

```
pseq <- seq(0, 1, length.out=200)
nseq <- c(10,20,50,200,1000)
gcol <- gray.colors(length(nseq), start = 0.3, end = 0.7)
par(mar=c(5,5,4,2)+0.1)
plot(pseq, pseq, type="n",
ylim=c(-0.3,0.3),
main="Wilson Binomial 95% CI",
xlab="Probability Estimate (P)",
ylab="",
yaxt="n")
pbnd <- -3:3/10
axis(2, at=pbnd, labels=
ifelse(pbnd<0, paste0("P",pbnd),
ifelse(pbnd==0, rep("P",length(pbnd)),
paste0("P+",pbnd))),las=2)
mtext("95% CI", 2, line = 4)
legend("topright", paste("N =", nseq),
fill=gcol, border=NA, bty="n", cex=0.8)
for(i in 1:length(nseq)) {
bnds <- t(sapply(pseq, function(p)
unlist(WilsonBinCI(nseq[i], p))))
bnds <- bnds - pseq
polygon(x=c(pseq,rev(pseq)),
y=c(bnds[,2],rev(bnds[,1])),
border=NA, col=gcol[i])
pmin <- pseq[which.min(bnds[,1])]
bmin <- min(bnds[,1])
lines(x=c(-1,rep(pmin,2)),
y=c(rep(bmin,2),-1), lty=3)
}
abline(h=0, lty=3)
```

]]>This post follows from a previous post (2798), in which the delta method was used to create an approximate pointwise 95% confidence band for a Gaussian density estimate. Note that the quality of this estimate was not assessed (e.g., whether the band has the correct pointwise coverage). Here we extend that approach to the Gaussian mixture density, which is much more flexible, and given sufficient mixture components, can be used to model ANY density. Here we show how the delta method can behave badly...

The parameters of mixture distributions are difficult to estimate by directly optimizing the likelihood function, because there are multiple constraints on the parameter space, and because the likelihood function is a sum. To overcome this, we most often use the EM algorithm. In the code below, I use the `normalmixEM` function from the `mixtools` package to estimate the parameters of a three-component Gaussian mixture, fitted to the famous `galaxies` data from the `MASS` package. Then, I compute the numerical Hessian of the log likelihood function to approximate the sampling variance-covariance of the parameter estimates. The remaining steps are the familiar delta method.

```
library("MASS") ## galaxies data
library("mixtools") ## normalmixEM
library("nlme") ## fdHess
## log likelihood function
llik <- function(x, mu, sig, lam) {
if(any(lam==0)||any(lam==1)||any(sig<0))
return(-sqrt(.Machine$double.xmax))
sum(sapply(x, function(y)
log(sum(dnorm(y, mu, sig)*lam))))
}
## convenience log likelihood function
llikp <- function(par, x=galaxies)
llik(x,par[1:3],par[4:6],c(par[7:8],1-sum(par[7:8])))
## mixture density function
mixdens <- function(par, x=galaxies)
t(sapply(x, function(y)
sum(dnorm(y, par[1:3], par[4:6])*
c(par[7:8],1-sum(par[7:8])))))
## log of mixture density function
lmixdens <- function(par, x=galaxies)
log(mixdens(par, x))
## compute the finite-difference gradient (c.f., nlme::fdHess)
fdGrad <- function (pars, fun, ...,
.relStep = (.Machine$double.eps)^(1/3),
minAbsPar = 0) {
pars <- as.numeric(pars)
npar <- length(pars)
incr <- ifelse(abs(pars) <= minAbsPar, minAbsPar * .relStep,
abs(pars) * .relStep)
ival <- do.call(fun, list(pars, ...))
diff <- rep(0,npar)
sapply(1:npar, function(i) {
del <- rep(0,npar)
del[i] <- incr[i]
(do.call(fun, list(pars+del, ...))-ival)/incr[i]
})
}
## fit three-component normal mixture to galaxies data
set.seed(42)
pars <- normalmixEM(galaxies, k=3,
mu=quantile(galaxies, probs=c(0,1/2,1)))
## extract parameter estimates
pars <- c(pars$mu, pars$sigma, pars$lambda[1:2])
## compute Hessian of log likelihood function
hess <- fdHess(pars, llikp)$Hessian
## compute approximate var-cov of estimates
vcov <- solve(-hess)
## delta method to approximate var-cov of density
grng <- extendrange(galaxies, f=0.10)
grid <- seq(grng[1], grng[2], length.out=500)
dgrd <- fdGrad(pars, mixdens, x=grid)
dvar <- dgrd %*% vcov %*% t(dgrd)
mden <- mixdens(pars, grid)
## plot density and confidence bands
plot(grid, mden, ylim=extendrange(mden,f=0.25), type="l",
xlab="distance", ylab="density")
polygon(c(grid, rev(grid)),
c(mden + qnorm(0.975)*sqrt(diag(dvar)),
rev(mden - qnorm(0.975)*sqrt(diag(dvar)))),
col="gray", border=NA)
lines(grid, mden, lwd=2)
abline(h=0, lty=3)
## rug plot of galaxies data
points(galaxies, rep(par("usr")[3]+diff(par("usr")[3:4])/15,
length(galaxies)), pch="|")
```

On first glance, this confidence band is less than satisfactory because the lower bound is less than zero in some places. In order to fix this, I tried using the delta method on the logarithm of the mixture density estimate (similar to how we compute confidence intervals for odds ratios). This does indeed force the confidence limits to be positive. However, the upper limits are strange.

```
## recompute using log of mixture density
ldgrd <- fdGrad(pars, lmixdens, x=grid)
ldvar <- ldgrd %*% vcov %*% t(ldgrd)
lmden <- lmixdens(pars, grid)
## plot density and confidence bands
plot(grid, exp(lmden), ylim=extendrange(exp(lmden),f=0.25),
type="l", xlab="distance", ylab="density")
polygon(c(grid, rev(grid)),
exp(c(lmden + qnorm(0.975)*sqrt(diag(ldvar)),
rev(lmden - qnorm(0.975)*sqrt(diag(ldvar))))),
col="gray", border=NA)
lines(grid, exp(lmden), lwd=2)
abline(h=0, lty=3)
## rug plot of galaxies data
points(galaxies, rep(par("usr")[3]+diff(par("usr")[3:4])/15,
length(galaxies)), pch="|")
```

Finally, I should mention that neither of these confidence bands may be any good. Ideally, these intervals would be assessed using a simulation (or perhaps a nonparametric bootstrap) to check their quality.

]]>During one of our Department's weekly biostatistics "clinics", a visitor was interested in creating confidence bands for a Gaussian density estimate (or a Gaussian mixture density estimate). The mean, variance, and two "nuisance" parameters, were simultaneously estimated using least-squares. Thus, the approximate sampling variance-covariance matrix (4x4) was readily available. The two nuisance parameters do not directly affect the Gaussian density, but the client was concerned that their correlation with the mean and variance estimates would affect the variance of the density estimate. Of course, this might be the case in general, and a nonparametric bootstrap method might be used to account for this. Nevertheless, I proposed using the delta method, in which the variability of the nuisance parameter estimates do not affect that of the density estimate; a consequence of the normality assumption. This can be verified by fiddling with the parameters below.

The code below implements a Wald-type pointwise 95% confidence band for a test case; I made up the values of the estimated parameters and their approximate variance-covariance matrix (note that the mean and variance estimators are statistically independent). After fiddling with this a bit, it's clear that this delta method approach can perform poorly when the sampling variance is large (e.g., the lower bound of the density estimate can be negative).

```
## bell curve function
bell <- function(dist, mu=0, sig=1, p1=0, p2=0)
exp(-(dist-mu)^2/sig/2)/sqrt(2*pi)/sig
## plot bell curve at default parameters
curve(bell(x), from=-5, to=5, ylim=c(0,0.6),
ylab="density", xlab="distance")
## compute gradient of bell_curve on a grid of distances
dgrid <- seq(-5, 5, 1/50)
bderv <- numericDeriv(
expr=quote(bell(dgrid, mu, sig, p1, p2)),
theta=c("mu","sig","p1","p2"),
rho=list2env(list(dgrid=dgrid,mu=0,sig=1,p1=0,p2=0)))
bgrad <- attr(bderv, 'gradient')
## variance-covariance matrix of mu, sig, p1, and p2
pvcov <- matrix(c(1.0,0.0,0.1,0.0,
0.0,1.0,0.0,0.1,
0.1,0.0,0.2,0.1,
0.0,0.1,0.1,0.2)/100, 4,4)
## approxiamte variance-covariance of bell curve
## induced by variability in parameters
bvcov <- bgrad %*% pvcov %*% t(bgrad)
## add pointwise 95% Wald confidence bands
polygon(x=c(dgrid, rev(dgrid)),
y=c(bderv + qnorm(0.975)*sqrt(diag(bvcov)),
bderv - qnorm(0.975)*sqrt(diag(bvcov))),
col="lightgray", border=NA)
lines(dgrid, bderv, lwd=2)
abline(h=0, lty=3)
```

]]>

Suppose I make a wager with my father in-law that a Democrat will win the 2016 presidential election, and that we both put up $500 with even odds. So, if a Democrat wins, I gain $500, but if a Republican wins, I lose $500.

Further suppose that I can take the other side of this bet with more favorable odds somewhere else, say 6-to-1 favoring the Democrat (the odds are closer than this right now, on Predictit.org). That is, if I bet $150 dollars that a Republican will win against 6:1 odds, then I will gain $750 if the republican wins and lose $150 if the democrat wins.

Now, consider the two possible outcomes (assuming that either a Democrat or Republican are sure to win): 1) A Democrat wins, and I gain $500 dollars on the first bet and lose $150 on the second for a net $350 gain. 2) A Republican wins, and I lose $500 on the first bet and gain $750 on the second for a net gain of $250. Thus, I win at least $250 either way. Of course this would only work if my father in-law agreed to take worse odds (i.e., paid more for the bet) than could be had elsewhere. This is a type of market arbitrage.

]]>Statisticians often need to integrate some function with respect to the multivariate normal (Gaussian) distribution, for example, to compute the standard error of a statistic, or the likelihood function in of a mixed effects model. In many (most?) useful cases, these integrals are intractable, and must be approximated using computational methods. Monte-Carlo integration is one such method; a stochastic method, but its computation can be prohibitively expensive, especially when the integral is computed many times.

Quadrature methods, which are deterministic rather than stochastic, are another set of methods that can be less computationally expensive, especially for lower-dimension integrals. The main idea is to approximate the integral as a weighted summation (the Monte-Carlo method uses an unweighted summation), where the integrand is evaluated on a grid of points selected from the domain of integration. The weights and points are carefully selected to approximate the integral. Gauss-Hermite quadrature is a well-known method for selecting the weights and points for integrals involving the univariate normal distribution. The details of selecting weights and points is complicated, and involves finding the roots of Hermite polynomials (see with Wikipedia link above for details). Fortunately, there already exists some R code (extracted from the ecoreg package; see the `hermite` and `gauss.hermite` functions below) that implements this.

There are natural extensions of univariate Gaussian quadrature for integrals involving the multivariate normal distribution. Peter Jäckel has written a great, short, accessible article about this, and some of the figures below look very similar to those in the article. The extension to multivariate integrals is based on the idea of creating an M-dimensional grid of points by expanding the univariate grid of Gauss-Hermite quadrature points, and then rotating, scaling, and translating those points according to the mean vector and variance-covariance matrix of the multivariate normal distribution over which the integral is calculated (see the `mgauss.hermite` function below, with comments). The weights of the M-variate quadrature points are the product of the corresponding M univariate weights. The following code block lists three functions, where the first two compute the Gauss-Hermite quadrature weights and points in one dimension, and the last computes the weights and points for multivariate Gaussian quadrature.

```
## perform quadrature of multivariate normal
## compute Gauss-Hermite quadrature points and weights
## for a one-dimensional integral.
## points -- number of points
## interlim -- maximum number of Newton-Raphson iterations
hermite <- function (points, z) {
p1 <- 1/pi^0.4
p2 <- 0
for (j in 1:points) {
p3 <- p2
p2 <- p1
p1 <- z * sqrt(2/j) * p2 - sqrt((j - 1)/j) * p3
}
pp <- sqrt(2 * points) * p2
c(p1, pp)
}
gauss.hermite <- function (points, iterlim = 50) {
x <- w <- rep(0, points)
m <- (points + 1)/2
for (i in 1:m) {
z <- if (i == 1)
sqrt(2 * points + 1) - 2 * (2 * points + 1)^(-1/6)
else if (i == 2)
z - sqrt(points)/z
else if (i == 3 || i == 4)
1.9 * z - 0.9 * x[i - 2]
else 2 * z - x[i - 2]
for (j in 1:iterlim) {
z1 <- z
p <- hermite(points, z)
z <- z1 - p[1]/p[2]
if (abs(z - z1) <= 1e-15)
break
}
if (j == iterlim)
warning("iteration limit exceeded")
x[points + 1 - i] <- -(x[i] <- z)
w[i] <- w[points + 1 - i] <- 2/p[2]^2
}
r <- cbind(x * sqrt(2), w/sum(w))
colnames(r) <- c("Points", "Weights")
r
}
## compute multivariate Gaussian quadrature points
## n - number of points each dimension before pruning
## mu - mean vector
## sigma - covariance matrix
## prune - NULL - no pruning; [0-1] - fraction to prune
mgauss.hermite <- function(n, mu, sigma, prune=NULL) {
if(!all(dim(sigma) == length(mu)))
stop("mu and sigma have nonconformable dimensions")
dm <- length(mu)
gh <- gauss.hermite(n)
#idx grows exponentially in n and dm
idx <- as.matrix(expand.grid(rep(list(1:n),dm)))
pts <- matrix(gh[idx,1],nrow(idx),dm)
wts <- apply(matrix(gh[idx,2],nrow(idx),dm), 1, prod)
## prune
if(!is.null(prune)) {
qwt <- quantile(wts, probs=prune)
pts <- pts[wts > qwt,]
wts <- wts[wts > qwt]
}
## rotate, scale, translate points
eig <- eigen(sigma)
rot <- eig$vectors %*% diag(sqrt(eig$values))
pts <- t(rot %*% t(pts) + mu)
return(list(points=pts, weights=wts))
}
```

For some of the M-variate points, the weights are very small, and thus contribute very little to the integral. The notion of ‘pruning’ can be used to eliminate those points with very small weights. The `mgauss.hermite` function does this by trimming a specified fraction of the smallest weights (I’ve found that pruning 20% works well). In two dimensions, when the variance of each variable is 1.0 and correlation 0.5, the pruned points look as follows, where the point diameter is monotonic in the corresponding weight:

```
sig <- matrix(c(1,0.5,0.5,1),2,2)
pts <- mgauss.hermite(10, mu=c(0,0), sigma=sig, prune=0.2)
plot(pts$points, cex=-5/log(pts$weights), pch=19,
xlab=expression(x[1]),
ylab=expression(x[2]))
```

Computing a 2D integral with these points would require 80 evaluations of the integrand (note that there were originally 10 points in each dimension, or 100 points total, but by pruning were reduced to 80). Now, the real question is whether integrating with such points and weights can achieve a similar or better result than a same-sized (or perhaps even much larger) Monte-Carlo method. The following three sections compare these methods (and additionally the delta method, in the last section) in computing means and variances, probabilities, and the standard error of an unusual statistic. Probabilities are an interesting case because of their discreteness, and computing standard errors is, obviously, an important application of quadrature.

The true mean vector is zero, and the true variances and covariance are one and one-half, respectively. The quadrature method is the winner here:

```
library(mvtnorm); set.seed(42)
x80 <- rmvnorm(80, sigma=sig)
x1000 <- rmvnorm(1000, sigma=sig)
### Means
## quadrature with 80 points
colSums(pts$points * pts$weights)
## [1] -6.140989e-21 1.291725e-20
## Monte-Carlo with 80 points
colMeans(x80)
## [1] -0.06886731 -0.03477292
## Monte-Carlo with 1000 points
colMeans(x1000)
## [1] -0.02371047 -0.01133503
### Variances
## quadrature with 80 points
cov.wt(pts$points, wt=pts$weights, method="ML")$cov
## [,1] [,2]
## [1,] 0.9999904 0.4999952
## [2,] 0.4999952 0.9999904
## Monte-Carlo with 80 points
cov(x80)
## [,1] [,2]
## [1,] 0.9838169 0.4958186
## [2,] 0.4958186 1.0174029
## Monte-Carlo with 1000 points
cov(x1000)
## [,1] [,2]
## [1,] 1.0083872 0.4938198
## [2,] 0.4938198 0.9727271
```

Computing probabilities is the same as using an indicator functions as the integrand in this context, which are obviously much more discrete than the integrand for means. It looks like the Monte-Carlo methods may be superior in computing such quantities. For the first probability, the true value is 1/3; for the second, the true value is 1/20:

```
### Probabilities
## P(x1<0, x2<0) = 1/3
## quadrature with 80 points
gfun <- function(x) prod(x<0)
sum(apply(pts$points, 1, gfun) * pts$weights)
## [1] 0.3927074
## Monte-Carlo with 80 points
mean(apply(x80, 1, gfun))
## [1] 0.3625
## Monte-Carlo with 1000 points
mean(apply(x1000, 1, gfun))
## [1] 0.336
## P(x1<q0.05, x2<q0.05) = 0.05
q0.05 <- qmvnorm(0.05, sigma=sig)$quantile
gfun <- function(x) prod(x<q0.05)
## quadrature with 80 points
sum(apply(pts$points, 1, gfun) * pts$weights)
## [1] 0.01911414
## Monte-Carlo with 80 points
mean(apply(x80, 1, gfun))
## [1] 0.0625
## Monte-Carlo with 1000 points
mean(apply(x1000, 1, gfun))
## [1] 0.06
```

Consider a model described by vector of parameters, and an estimator that has an approximate multivariate normal distribution. This is often the case, for example, with ordinary least-squares and maximum likelihood estimators.

As an example, consider the one-compartment pharmacokinetic model with first-order elimination and intravenous bolus injection. The `cfun` function below gives the concentration of drug as a function of time following an IV bolus. The `tfun` function computes the time at which the concentration reaches a given level. As our statistic of interest, consider the amount of time in which the concentration remains above 0.064 g/L, which is four-fold the minimum inhibitory concentration (MIC) of piperacillin, an antibiotic. The figure below illustrates the time-course of piperacillin concentration for a typical patient after a 3g IV bolus.

```
## drug concentration after bolus injection
## one-compartment model
cfun <- function(t,v,k,dose=3)
dose/v*exp(-k*t)
## compute time at which concentration reaches x
tfun <- function(x,v,k,dose=3)
-log(x*v/dose)/k
## compute time at which concentration reaches 0.064
## given parameters p=c(v,k)
gfun <- function(p)
tfun(0.064, p[1], p[2])
## from a recent PK study on piperacillin
log_mu <- c(log_v=3.444, log_k=-2.036)
log_sig <- structure(c(0.0033, -0.0022, -0.0022, 0.0034),
.Dimnames = rep(list(c("log_v", "log_k")),2),
.Dim = c(2L, 2L))
curve(cfun(x, v=exp(log_mu[1]), k=exp(log_mu[2])),
from=0, to=8, n=300,
xlab="Time (h)", ylab="Concentration (g/L)")
lines(x=c(-10,rep(gfun(exp(log_mu)),2)),
y=c(rep(0.064,2), 0), lty=2)
legend("topright", bty="n",
legend=paste0("Time to 0.064 g/L: ",
round(gfun(exp(log_mu)),1), "h"))
```

Since the amount of time in which the concentration remains above 0.064 g/L is a function of the model parameters, sampling variability in the parameter estimates propagate, and thus we can compute a standard error. The "true" standard error is approximately 0.1233, which was computed (ironically) using the Monte Carlo method with 10M sample points. Below, the standard error is approximated using quadrature with 80 points, Monte Carlo with 80 and 1000 points, and the delta method. Each of the methods perform fairly well here. However, this is a fairly 'smooth' statistic. In fact, my motivation for this little experiment is to lay the groundwork to examine a more complex statistic: the probabilities of pharmacokinetic target attainment in a population. These statistics are usually calculated using a Monte Carlo method ("Monte Carlo Simulation" or MCS, in the antibiotic literature), and are thus somewhat discrete. That is, even for large MCSs, the numerical delta method (i.e., where the gradient is computed numerically) can fail miserably.

```
## quadrature with 80 points
pts <- mgauss.hermite(n=10, mu=log_mu, sigma=log_sig, prune=0.2)
cov.wt(matrix(apply(exp(pts$points), 1, gfun), nrow(pts$points),1),
pts$weights, method="ML")$cov
## [,1]
## [1,] 0.1232139
## Monte-Carlo with 80 points
var(apply(exp(rmvnorm(80, mean=log_mu, sigma=log_sig)), 1, gfun))
## [1] 0.123917
## Monte-Carlo with 1000 points
var(apply(exp(rmvnorm(1e3, mean=log_mu, sigma=log_sig)), 1, gfun))
## [1] 0.1219701
## delta method
rho <- list2env(list(log_v=log_mu[1],log_k=log_mu[2],x=0.064))
nd <- attr(numericDeriv(quote(tfun(x,exp(log_v),exp(log_k))),
theta=c('log_v','log_k'),rho=rho), 'gradient')
nd %*% log_sig %*% t(nd)
## [,1]
## [1,] 0.121936
```

The code snippet below creates the above graphic:

```
## radially symmetric kernel (Gussian kernel)
RadSym <- function(u)
exp(-rowSums(u^2)/2) / (2*pi)^(ncol(u)/2)
## multivariate extension of Scott's bandwidth rule
Scott <- function(data)
t(chol(cov(data))) * nrow(data) ^ (-1/(ncol(data)+4))
## compute KDE at x given data
mvkde <- function(x, data, bandwidth=Scott, kernel=RadSym) {
# bandwidth may be a function or matrix
if(is.function(bandwidth))
bandwidth <- bandwidth(data)
u <- t(solve(bandwidth, t(data) - x))
mean(kernel(u))
}
## compute KDE at (matrix) x given data
smvkde <- function(x, ...)
apply(x, 1, mvkde, ...)
## Example with 'airquality' data
## compute bivariate KDE and plot contours
data("airquality")
aq <- subset(airquality, !is.na(Ozone) & !is.na(Solar.R),
select=c("Ozone", "Solar.R"))
## compute density on a grid of Ozone and Solar.R values
dens.Ozone <- seq(min(aq$Ozone),max(aq$Ozone),length.out=100)
dens.Solar.R <- seq(min(aq$Solar.R),max(aq$Solar.R),length.out=100)
dens.grid <- expand.grid(Ozone=dens.Ozone, Solar.R=dens.Solar.R)
dens.vals <- smvkde(dens.grid, data=aq)
## arrange density values into matrix for easy plotting
dens.mtrx <- matrix(dens.vals, 100, 100)
contour(x=dens.Ozone, y=dens.Solar.R, z=dens.mtrx,
xlab="Ozone", ylab="Solar.R")
points(aq$Ozone, aq$Solar.R, pch=20)
## sample and plot 1000 points from bivariate KDE
## assume Gaussian kernel and Scott bandwidth formula
## 1. sample the original data with replacement
n <- 1000; p <- dim(aq)[2]; set.seed(42)
dens.samp <- aq[sample(1:nrow(aq), size=n, replace=TRUE),]
## 2. add variability by sampling from kernel
dens.samp <- dens.samp + matrix(rnorm(n*p), n, p) %*% Scott(aq)
## 3. plot sampled points
points(dens.samp$Ozone, dens.samp$Solar.R, pch=3,
cex=0.4, col=gray(0.4))
legend("bottomright",
c("Original", "Sampled", "KDE Contours"),
pch=c(20,3,NA),lty=c(NA,NA,1),
col=gray(c(0,0.2,0)), bty="n")
```

]]>There is a nice package and paper about this here: http://www.jstatsoft.org/v57/i05/paper. However, the associated code is complex and uses `lattice`. Here's a brief recipe using base graphics that implements the above figure:

```
set.seed(40)
x <- matrix(rgamma(50,1,1),10,5)
x <- x/rowSums(x)
colnames(x) <- c("Strongly Disagree", "Disagree",
"Neutral", "Agree", "Strongly Agree")
rownames(x) <- paste0("Q", 1:nrow(x))
## colors for each category
clrs <- rev(gray.colors(ncol(x))) ## colors
## centering category
acat <- 3 ## "Neutral"
## separation between bars
sepr <- 0.2
## ncol and nrow
nr <- nrow(x)
nc <- ncol(x)
## reorder so that questions 1:nrow(x) go from top down
x <- x[nr:1,]
## compute center offsets
cnof <- apply(x, 1, function(y) {
lo <- if(acat > 1) sum(y[1:(acat-1)]) else 0
hi <- sum(y[1:acat])
lo + (hi-lo)/2
})
## create plot
plot(c(-1,1), c(1,nr), type="n",
ylim=c(1-(1-sepr)/2-sepr,
nr+(1-sepr)/2+sepr),
ylab="", yaxt="n",
xlab="", )
## plot bars
for(i in 1:nr) {
for(j in 1:nc) {
lo <- if(j > 1) sum(x[i,][1:(j-1)]) else 0
hi <- sum(x[i,][1:j])
polygon(x=c(lo, lo, hi, hi)-cnof[i],
y=c(i-(1-sepr)/2, i+(1-sepr)/2,
i+(1-sepr)/2, i-(1-sepr)/2),
col=clrs[j], border=NA)
}
}
## create y-axis
axis(2, at=1:nr, las=2, xpd=NA, labels=rownames(x))
legend("topleft", fill=clrs, bty="n", legend=colnames(x))
## add center line
abline(v=0, lty=2)
```

]]>